Proceedings of the BISTIC Business Innovation Sustainability and Technology International Conference (BISTIC 2021)

Why A One-Way Relationship Between Capital Market and Foreign Exchange Market in Indonesia?

Authors
Yusuf Arianto1, Ely Siswanto2, *
1,2Department of Management, Economics Faculty, Universitas Negeri Malang
*Corresponding author. Email: ely.siswanto.fe@um.ac.id
Corresponding Author
Ely Siswanto
Available Online 23 November 2021.
DOI
10.2991/aebmr.k.211115.009How to use a DOI?
Keywords
stock market; foreign exchange market; causality test
Abstract

This study aims to examine the causal relationship between the stock market and the foreign exchange market in Indonesia. This study uses the value of the IDX Composite (IHSG) as an indicator of the stock market and the middle value of the exchange rate of IDR to USD as an indicator of the money market. This study uses the period 2008-2018 with a daily and monthly time period. Data collection uses secondary data by documentation techniques. Tests of data performed are stationary test, optimum Lag test, cointegration test, and causality test. The results of this study indicate the existence of one-way causality from the value of the IDX Composite (IHSG) to the exchange rate of the rupiah to the US dollar. IDX Composite (IHSG) will affect the movement of the exchange rate of the rupiah to US dollar. This is because the value of the IDX Composite (IHSG) is still used as one of Indonesia’s economy indicator.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the BISTIC Business Innovation Sustainability and Technology International Conference (BISTIC 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
23 November 2021
ISBN
10.2991/aebmr.k.211115.009
ISSN
2352-5428
DOI
10.2991/aebmr.k.211115.009How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yusuf Arianto
AU  - Ely Siswanto
PY  - 2021
DA  - 2021/11/23
TI  - Why A One-Way Relationship Between Capital Market and Foreign Exchange Market in Indonesia?
BT  - Proceedings of the BISTIC Business Innovation Sustainability and Technology International Conference (BISTIC 2021)
PB  - Atlantis Press
SP  - 64
EP  - 69
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.211115.009
DO  - 10.2991/aebmr.k.211115.009
ID  - Arianto2021
ER  -